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Document type:
Zeitschriftenaufsatz 
Author(s):
Saunders, D.; Seco, L.; Vogt, C.; Zagst, R. 
Non-TUM Co-author(s):
ja 
Cooperation:
international 
Title:
A Fund of Hedge Funds under Regime Switching 
Abstract:
This article investigates the use of a regime-switching model of returns for the asset allocation decision of a fund of hedge funds. In each time period, returns follow a multi-variate normal distribution from one of two possible regimes, corresponding to periods of normal and distressed markets. The prevailing regime in any given period is determined by the value of a two-state Markov chain. The case where serial correlation is absent, and returns in di erent time periods are i.i.d. Gaussian mi...    »
 
Intellectual Contribution:
Contribution to Practice 
Journal title:
The Journal of Alternative Investments 
Year:
2013 
Journal volume:
15 
Journal issue:
Pages contribution:
8-23 
Reviewed:
ja 
Language:
en 
Status:
Erstveröffentlichung 
Format:
Text 
Key publication:
Nein 
Peer reviewed:
Ja 
International:
Ja 
Book review:
Nein 
Commissioned:
not commissioned 
Professional Journal:
Ja 
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